Open Source “Value at Risk” concept

From Slashdot | The Perils of Simplifying Risk To a Single Number

Open Source Risk Modeling (Score:5, Interesting)

by Doofus (43075) on Monday January 05, @09:52AM (#26329147)

Far down in the depths of the article, the author points out that JPMorgan open-sourced their risk modeling methodology, which popularized the VaR (Value at Risk) approach used by most of the big financial firms:

What caused VaR to catapult above the risk systems being developed by JPMorgan competitors was what the firm did next: it gave VaR away. In 1993, Guldimann made risk the theme of the firm’s annual client conference. Many of the clients were so impressed with the JPMorgan approach that they asked if they could purchase the underlying system. JPMorgan decided it didn’t want to get into that business, but proceeded instead to form a small group, RiskMetrics, that would teach the concept to anyone who wanted to learn it, while also posting it on the Internet so that other risk experts could make suggestions to improve it. As Guldimann wrote years later, “Many wondered what the bank was trying to accomplish by giving away ‘proprietary’ methodologies and lots of data, but not selling any products or services.” He continued, “It popularized a methodology and made it a market standard, and it enhanced the image of JPMorgan.”

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